OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

Day-of-the-week effect in Consumer Confidence Index

The case of Turkey You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3312021ec004.pdf
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Author(s):
Sadullah Çelik, Hüseyin Kaya
28 May 2013
Pages:
10
Bibliographic information
No.:
8,
Volume:
2012,
Issue:
2
Pages:
33–42
http://dx.doi.org/10.1787/jbcma-2012-5k49j33nqdg5

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The aim of this study is to examine the validity of the day-of-the-week effect on both mean and volatility for changes in Consumer Confidence Index in Turkey. To the best of our knowledge, there is no previous study on this topic for an emerging market. Employing the E-GARCH method, we are able to validate day-of-the-week effect both in mean and volatility of the daily changes in the Consumer Confidence Index. In our findings, the mean equation exhibits only a Friday effect and the lowest volatility is also observed for Friday. Additionally, we use nonparametric stochastic dominance (SD) approach by employing several SD tests and verify the existence of Friday effects.
 
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